Ask a Question

Prefer a chat interface with context about you and your work?

High Dimensionality Effects on the Efficient Frontier: A Tri-Nation Study

High Dimensionality Effects on the Efficient Frontier: A Tri-Nation Study

Markowitz Portfolio theory under-estimates the risk associated with the return of a portfolio in case of high dimensional data. El Karoui mathematically proved this in [1] and suggested improved estimators for unbiased estimation of this risk under specific model assumptions. Norm constrained portfolios have recently been studied to keep the …